This work studies homogeneity problems. and in particular
ARMA model changes. in time series. For a given time series a
multiple component model is proposed. Each component can
encompass changes in ARMA model. changes in noise variance
or both, as well as This work studies homogeneity problems. and in particular
ARMA model changes. in time series. For a given time series a
multiple component model is proposed. Each component can
encompass changes in ARMA model. changes in noise variance
or both, as well as more general non-homogeneous behaviour.
A modelling procedure is proposed and illustrated by means of
two real time series.[+][-]